The British Asian Option

DOI10.1080/07474946.2010.487439zbMath1319.91148OpenAlexW2134742450MaRDI QIDQ4931851

Farman Samee, Kristoffer J. Glover, Goran Peskir

Publication date: 1 October 2010

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/14000

zbMATH Keywords

optimal stoppingnonlinear integral equationgeometric Brownian motionlocal time-space calculusparabolic free-boundary problemShiryaev processarbitrage-free priceliquid/illiquid marketrational exercise boundaryfixed/floating strikeAmerican Asian optionarithmetic/geometric averageBritish Asian optionEuropean Asian optionflexible Asian options

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

THE BRITISH ASSET-OR-NOTHING PUT OPTION ⋮ The British Lookback Option with Fixed Strike

Cites Work

• Unnamed Item
• The trap of complacency in predicting the maximum
• A change-of-variable formula with local time on curves
• Analytical Valuation of American-Style Asian Options
• On some exponential functionals of Brownian motion

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